www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreateAStructureVolatilityHwtreeExample.m
%% Create a Structure Specifying the Volatility for |hwtree| % This example shows how to create a Hull-White volatility specification (|VolSpec|) using the following data. %% % Copyright 2015 The MathWorks, Inc. ValuationDate = '01-01-2004'; StartDate = ValuationDate; VolDates = ['12-31-2004'; '12-31-2005'; '12-31-2006'; '12-31-2007']; VolCurve = 0.01; AlphaDates = '01-01-2008'; AlphaCurve = 0.1; HWVolSpec = hwvolspec(ValuationDate, VolDates, VolCurve,... AlphaDates, AlphaCurve)